A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case

Abstract

Paper 1 of this research programme (Nechepurenko, 2026d) develops a resolution-aware risk-design framework for the simplest event-linked perpetual: a contract whose underlying tracks a single binary prediction-market probability through resolution. The instrument class is broader. Variants span conditional probabilities P(A | B) for related events, spreads p (A) − p (B) , weighted baskets Pwip (i) , derivatives on the variance or entropy of the probability process, contracts on liquidity itself, perpetual-on-expiring-event roll structures, and funding-only event derivatives with no settlement. Each variant inherits some of the framework components developed for the single-market binary case and requires its own design adaptations. This paper develops a formal taxonomy of seven pure-form canonical variants beyond the probability-index perpetual of Paper 1, organised along four orthogonal design axes: underlying geometry, temporal structure, settlement structure, and venue composition. We do not claim the list is exhaustive; combinations and additional permutations are not treated as separate cases. For each variant we provide a precise payoff definition; an inheritance map identifying which Paper 1 components carry over, are modified, or fail; variant-specific design constraints; microstructure properties; empirical evaluability on the PMXT v2 archive; and limitations. Notable structural findings: the conditional variant admits a candidate non-portability proposition (denominator instability as the conditioning event becomes improbable); the spread variant requires a three-channel decomposition of resolution risk (first-leg execution, residual margin, second-leg terminal collapse); the volatility/entropy variant avoids random binary terminal-collapse risk but introduces variance-boundary and entropydecay issues that Paper 1’s boundary correction does not directly address; the basket variant requires multi-period jump-aware margin whose aggregation is correlation-dependent under simultaneous resolution. The paper is theoretical primarily. Empirical evaluation of variants beyond the singlemarket case is not undertaken here; the paper specifies how demonstrative time series can be constructed and provides evaluability criteria to guide future work. The contribution is the formal scaffolding within which follow-up work can proceed, and the design vocabulary practitioners need to distinguish variants whose surface features may appear similar but whose risk-engineering requirements differ in structurally important ways.

Keywords: Event-Linked Perpetuals, Perpetual Futures, Prediction Markets, Conditional Probability, Event Spreads, Volatility Derivatives, Market Microstructure, Instrument Taxonomy

JEL Classification: G13, G14, G23, G10, D47